# Country FE + Year FE Robustness

Within transformation: country-demeaned variables approximate country fixed effects.

| Model | N | Countries | R² |
|---|---|---|---|
| Rating: Baseline | 2,048 | 79 | 0.485 |
| Rating: + Year FE | 2,048 | 79 | 0.526 |
| Rating: Country FE + Year FE | 2,048 | 79 | 0.306 |
| Spread: Baseline | 727 | 23 | 0.346 |
| Spread: + Year FE | 727 | 23 | 0.432 |
| Spread: Country FE + Year FE | 727 | 23 | 0.312 |
| Spread+Debt: Baseline | 722 | 23 | 0.353 |
| Spread+Debt: + Year FE | 722 | 23 | 0.442 |
| Spread+Debt: Country FE + Year FE | 722 | 23 | 0.357 |

## Key Coefficients

| Model | Variable | Coef | SE | p-value | Sig |
|---|---|---|---|---|---|
| Rating: Baseline | Z_1 | 15.9871 | 5.9371 | 0.0071 | *** |
| Rating: Baseline | Z_2 | -1.8956 | 0.8518 | 0.0262 | ** |
| Rating: Baseline | Z_3 | 0.0712 | 0.0342 | 0.0372 | ** |
| Rating: Baseline | govt_debt_gdp | -0.0286 | 0.0034 | 0.0000 | *** |
| Rating: Baseline | rgdp_growth | -0.0050 | 0.0042 | 0.2295 |  |
| Rating: Baseline | fiscal_bal_gdp | -0.0234 | 0.0079 | 0.0031 | *** |
| Rating: Baseline | kaopen | 0.3165 | 0.0749 | 0.0000 | *** |
| Rating: + Year FE | Z_1 | 15.4381 | 6.0222 | 0.0104 | ** |
| Rating: + Year FE | Z_2 | -1.6976 | 0.8656 | 0.0500 | ** |
| Rating: + Year FE | Z_3 | 0.0609 | 0.0348 | 0.0804 | * |
| Rating: + Year FE | govt_debt_gdp | -0.0298 | 0.0036 | 0.0000 | *** |
| Rating: + Year FE | rgdp_growth | -0.0049 | 0.0050 | 0.3246 |  |
| Rating: + Year FE | fiscal_bal_gdp | -0.0142 | 0.0088 | 0.1065 |  |
| Rating: + Year FE | kaopen | 0.3045 | 0.0768 | 0.0001 | *** |
| Rating: Country FE + Year FE | Z_1 | 11.3863 | 4.2775 | 0.0078 | *** |
| Rating: Country FE + Year FE | Z_2 | -1.2691 | 0.5884 | 0.0311 | ** |
| Rating: Country FE + Year FE | Z_3 | 0.0433 | 0.0231 | 0.0612 | * |
| Rating: Country FE + Year FE | govt_debt_gdp | -0.0376 | 0.0030 | 0.0000 | *** |
| Rating: Country FE + Year FE | rgdp_growth | -0.0059 | 0.0052 | 0.2512 |  |
| Rating: Country FE + Year FE | fiscal_bal_gdp | -0.0194 | 0.0087 | 0.0268 | ** |
| Rating: Country FE + Year FE | kaopen | 0.2690 | 0.0701 | 0.0001 | *** |
| Spread: Baseline | Z_1 | 14.7280 | 12.3633 | 0.2339 |  |
| Spread: Baseline | Z_2 | -2.0568 | 1.6226 | 0.2054 |  |
| Spread: Baseline | Z_3 | 0.0746 | 0.0597 | 0.2123 |  |
| Spread: Baseline | rgdp_growth | -0.0386 | 0.0107 | 0.0003 | *** |
| Spread: Baseline | fiscal_bal_gdp | 0.0039 | 0.0149 | 0.7911 |  |
| Spread: Baseline | kaopen | -0.7866 | 0.1756 | 0.0000 | *** |
| Spread: Baseline | nfa_gdp_lag | -0.3651 | 0.2114 | 0.0846 | * |
| Spread: + Year FE | Z_1 | 13.8225 | 13.1426 | 0.2933 |  |
| Spread: + Year FE | Z_2 | -2.1568 | 1.7177 | 0.2097 |  |
| Spread: + Year FE | Z_3 | 0.0841 | 0.0631 | 0.1829 |  |
| Spread: + Year FE | rgdp_growth | -0.0691 | 0.0157 | 0.0000 | *** |
| Spread: + Year FE | fiscal_bal_gdp | 0.0131 | 0.0182 | 0.4716 |  |
| Spread: + Year FE | kaopen | -0.6949 | 0.1797 | 0.0001 | *** |
| Spread: + Year FE | nfa_gdp_lag | -0.3867 | 0.2055 | 0.0603 | * |
| Spread: Country FE + Year FE | Z_1 | -1.8569 | 12.6638 | 0.8835 |  |
| Spread: Country FE + Year FE | Z_2 | 0.2814 | 1.5829 | 0.8590 |  |
| Spread: Country FE + Year FE | Z_3 | -0.0098 | 0.0567 | 0.8634 |  |
| Spread: Country FE + Year FE | rgdp_growth | -0.0720 | 0.0156 | 0.0000 | *** |
| Spread: Country FE + Year FE | fiscal_bal_gdp | 0.0145 | 0.0183 | 0.4280 |  |
| Spread: Country FE + Year FE | kaopen | -0.5478 | 0.1719 | 0.0015 | *** |
| Spread: Country FE + Year FE | nfa_gdp_lag | 0.2900 | 0.2211 | 0.1901 |  |
| Spread+Debt: Baseline | Z_1 | 12.5660 | 12.7608 | 0.3251 |  |
| Spread+Debt: Baseline | Z_2 | -1.7270 | 1.6815 | 0.3047 |  |
| Spread+Debt: Baseline | Z_3 | 0.0611 | 0.0625 | 0.3284 |  |
| Spread+Debt: Baseline | govt_debt_gdp | 0.0102 | 0.0064 | 0.1133 |  |
| Spread+Debt: Baseline | Z_1_x_debt | -0.0039 | 0.0056 | 0.4824 |  |
| Spread+Debt: Baseline | rgdp_growth | -0.0374 | 0.0107 | 0.0005 | *** |
| Spread+Debt: Baseline | fiscal_bal_gdp | 0.0132 | 0.0166 | 0.4252 |  |
| Spread+Debt: Baseline | kaopen | -0.8040 | 0.1780 | 0.0000 | *** |
| Spread+Debt: Baseline | nfa_gdp_lag | -0.2991 | 0.2137 | 0.1620 |  |
| Spread+Debt: + Year FE | Z_1 | 13.2399 | 13.6633 | 0.3329 |  |
| Spread+Debt: + Year FE | Z_2 | -2.0372 | 1.7976 | 0.2575 |  |
| Spread+Debt: + Year FE | Z_3 | 0.0782 | 0.0668 | 0.2421 |  |
| Spread+Debt: + Year FE | govt_debt_gdp | 0.0066 | 0.0064 | 0.3058 |  |
| Spread+Debt: + Year FE | Z_1_x_debt | -0.0016 | 0.0055 | 0.7685 |  |
| Spread+Debt: + Year FE | rgdp_growth | -0.0672 | 0.0158 | 0.0000 | *** |
| Spread+Debt: + Year FE | fiscal_bal_gdp | 0.0182 | 0.0195 | 0.3529 |  |
| Spread+Debt: + Year FE | kaopen | -0.7035 | 0.1810 | 0.0001 | *** |
| Spread+Debt: + Year FE | nfa_gdp_lag | -0.3512 | 0.2078 | 0.0915 | * |
| Spread+Debt: Country FE + Year FE | Z_1 | -6.0317 | 12.6036 | 0.6324 |  |
| Spread+Debt: Country FE + Year FE | Z_2 | 1.0183 | 1.6001 | 0.5247 |  |
| Spread+Debt: Country FE + Year FE | Z_3 | -0.0462 | 0.0588 | 0.4327 |  |
| Spread+Debt: Country FE + Year FE | govt_debt_gdp | 0.0088 | 0.0068 | 0.1970 |  |
| Spread+Debt: Country FE + Year FE | Z_1_x_debt | 0.0063 | 0.0062 | 0.3087 |  |
| Spread+Debt: Country FE + Year FE | rgdp_growth | -0.0686 | 0.0158 | 0.0000 | *** |
| Spread+Debt: Country FE + Year FE | fiscal_bal_gdp | 0.0217 | 0.0193 | 0.2601 |  |
| Spread+Debt: Country FE + Year FE | kaopen | -0.5626 | 0.1695 | 0.0010 | *** |
| Spread+Debt: Country FE + Year FE | nfa_gdp_lag | 0.3884 | 0.2208 | 0.0790 | * |